I used to. It works fine. I personally found it worked well when I did it back in the day, around home. I switched between two chains. I kept a can with wax in it and reused it over and over. I don't think it works especially well in a touring context where the bike is outside 24/7 and stays in the weather and needs re-lubing along the way on the trip. Others may disagree, but I don't think you will find many that use this method on long tours, maybe a few do.
Many of the commercial lubes we do use are paraffin based, but it is delivered by dissolving it in some solvent rather than melting it. I think my favs (Boesheild T-9 and Pro Link) are paraffin based.